JPM: Risk Model Pain

Wall Street & Technology’s article “JPMorgan To Be Haunted by Change in Risk Model” touches on a few items I mentioned in my European Trading Architecture Summit last year.


~ by mdavey on May 22, 2012.

3 Responses to “JPM: Risk Model Pain”

  1. fwiw the link to the slides didn’t work for me – there’s a survey and then a page with no link to the presentations

  2. There are a lot of debate about whether VaR is working or not. This one tells us again when diaster happens, it is not VaR’s fault, it is people’s.

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